The main goal of our paper is to equip the classical CEV process with the long-memory property taking advantage of a mixed fractional Brownian motion. In this ...
CEV model equipped with the long-memory · List of references · Publications that cite this publication.
In this paper, we define the mixed fractional Constant Elasticity of Variance (CEV) process exploiting a transfer equation. This transformation enables us ...
In this paper, we define the mixed fractional Constant Elasticity of Variance (CEV) process exploiting a transfer equation. This transformation enable us to ...
In this paper, we define the mixed fractional Constant Elasticity of Variance (CEV) process exploiting a transfer equation. This transformation enables us ...
CEV model equipped with the long-memory. Fallah, S.; Mehrdoust, F. Journal of Computational and Applied Mathematics 389: 113359. ISSN: 0377-0427; 1879-1778 ...
Jan 8, 2021 · In this paper, we define the mixed fractional Constant Elasticity of Variance (CEV) process exploiting a transfer equation.
The classical CEV model (1.1) does not account for long-memory behavior, how- ever. There are some evidences showing that the financial market exhibits long-.
The CEV model is an altrnative to the Black-Scholes model of stock price movements. In this diffusion process, unlike the Black-Scholes model, the volatility is ...
The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing.